Components of Grain Futures Price Volatility
AbstractWe analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and oats markets from 1986 to 2007. Combining the information from simultaneously traded contracts, a generalized least squares method is implemented that allows us to clearly distinguish among time-to-delivery effects, seasonality, calendar trend, and volatility persistence. We find strong evidence of time-to-delivery (Samuelson) effects and systematic seasonal components with volatility increasing prior to harvest timesâ€” an indirect confirmation of the theory of storage.
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Bibliographic InfoArticle provided by Western Agricultural Economics Association in its journal Journal of Agricultural and Resource Economics.
Volume (Year): 35 (2010)
Issue (Month): 2 (August)
futures markets; Samuelson effect; seasonality; time to maturity; volatility; Crop Production/Industries; Risk and Uncertainty;
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